On Exponential Functionals of Brownian Motion and Related Processes
Edition: 1 edition
Publisher: Springer
Published: September 21, 2001
Language: eng
Format: Paperback
Number of pages: 203
ISBN-13: 9783540659433
Subjects: Finance; Functional analysis; Probability & statistics; Mathematics; Markov Processes; Science/Mathematics; Probability & Statistics - General; Applied; Asian options; Bessel functions; Bessel processes; Geometric Brownian motion; Mathematics / Statistics; beta-gamma variables; Business mathematics; Brownian motion processes; Mathematical models
Description: This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. These functionals play an important role in Mathematical Finance, as well as in (probabilistic) studies related to hyperbolic geometry, and also to random media. Throughout the volume, connections with more recent studies involving exponential functionals of Lévy processes are indicated. Some papers originally published in French are made available in English for the first time.